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| Author: | Brailsford, T. Corrigan, K. Heaney, R. |
| Title: | A comparison of measures of hedging effectiveness: a case study using the Australian all ordinaries share price index futures contract |
| Journal: | Journal of Multinational Financial Management
2001 : OCT-DEC, VOL. 11:4-5, p. 465-481 |
| Index terms: | EFFECTIVENESS HEDGING RISK MANAGEMENT AUSTRALIA |
| Language: | eng |
| Abstract: | Hedging is claimed to be of fundamental importance in managing the risk of an investment portfolio. Several techniques to assess the effectiveness of a hedge have been suggested in the literature. This paper provides an empirical comparison of three measures of hedge effectiveness in the context of hedging market risk using the Australian All Ordinaries Share Price Index Futures contract. |
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